Related papers: Maximum principle for SPDEs and its applications
We generalize the Maximum Principle for free end point optimal control problems involving sweeping systems derived in [9] to cover the case where the end point is constrained to take values in a certain set. As in [9], an ingenious smooth…
We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the state, on the past trajectory and on its expected value.…
We develop a new, unified approach to the following two classical questions on elliptic PDE: the strong maximum principle for equations with non-Lipschitz nonlinearities, and the at most exponential decay of solutions in the whole space or…
In this paper the necessary conditions of optimality in the form of maximum principle are derived for a very general class of variational problems. This class includes problems with any optimization criteria and constraints that can be…
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…
We consider a continuous-time positive bilinear control system (PBCS), i.e. a bilinear control system with Metzler matrices. The positive orthant is an invariant set of such a system, and the corresponding transition matrix C(t) is…
We prove a maximality theorem for one-parameter dynamical systems including multiplier one-parameter dynamical systems. Our main result is new even for one-parameter actions on commutative multiplier algebras including the algebra of…
The paper concerns the necessary maximum principle for robust optimal control problems of quadratic BSDEs. The coefficient of the systems depends on the parameter $\theta$, and the generator of BSDEs is of quadratic growth in $z$. Since the…
This paper is concerned with the study of the Strong Maximum Principle for semicontinuous viscosity solutions of fully nonlinear, second-order parabolic integro-differential equations. We study separately the propagation of maxima in the…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
Based on works by Hopf, Weinberger, Hamilton and Evans, we state and prove the strong elliptic maximum principle for smooth sections in vector bundles over Riemannian manifolds and give some applications in Differential Geometry. Moreover,…
This paper investigates continuity properties of value functions and solutions for parametric optimization problems. These problems are important in operations research, control, and economics because optimality equations are their…
Hu et. al 2018 studied a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. By assuming a weakly coupled condition, they established an approach to obtain the…
The principle of optimality is a fundamental aspect of dynamic programming, which states that the optimal solution to a dynamic optimization problem can be found by combining the optimal solutions to its sub-problems. While this principle…
We establish via variational methods the existence of a standing wave together with an estimate on the convergence to its asymptotic states for a bistable system of partial differential equations on a periodic domain. The main tool is a…
This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. The state equation describes the evolution of a material…
In this paper, we consider optimal control problems of stochastic Volterra equations (SVEs) with singular kernels, where the control domain is not necessarily convex. We establish a global maximum principle by means of the spike variation…
In dimension two or three, the weak maximum principal for biharmonic equation is valid in any bounded Lipschitz domains. In higher dimensions (greater than three), it was only known that the weak maximum principle holds in convex domains or…
The maximum principle forms an important qualitative property of second order elliptic equations, therefore its discrete analogues, the so-called discrete maximum principles (DMPs) have drawn much attention. In this paper DMPs are…
In this note, we prove the boundary H\"{o}lder regularity for the infinity Laplace equation under a proper geometric condition. This geometric condition is quite general, and the exterior cone condition, the Reifenberg flat domains, and the…